I think the problem has to do with the default aspect ratio that Excel uses for plots.
For example, make a simple X-Y plot with just the points (0,0) and (4,4). It autoscales using 4.5 as the max scale for both axes.
Now using line draw, draw a vertical line from (1,1) to (0,1). This gives you what the vertical scale considers to be a length of 1.
If you rotate that line 90 degrees and try to match it up with a horizontal distance of 1, you'll find that the rotated line is less than the horizontal distance. Voila!
To compensate for this, I usually just just measure off a the distance (in inches or cm) corresponding to the full scale (in this case, 4.5) for each axis. The ratio is the aspect ratio.
To compensate for this effect, change the vertical max scale from 4.5 to 4.5 times the aspect ratio.
Once this is done, everything will be balanced and circles won't look like ellipses.